二级另类投资

CFA二级另类投资考点汇总
1. Valuation of Real Estate
1)income approach:
●Direct capitalization method:
Step 1: Calculate NOI1 , the net operating income for the
first year.
Step 2: The current yield on the investment could be
defined as:
Recent comparable transaction price could be used:
step 3: Rearranging the previous formula
●Stabilized NOI: V0’=V0-V loss(有装修的情况下,导致第一年
的NOI减少,可以先假设没有任何装修的情况下用
Direct capitalization method计算现值,再把由于装修导
致的NOI的损失折现,两者相减)
●All Risks Yield (ARY):
●Gross Income Multiplier:
●Discounted Cash Flow Method (sell)
●NOI n+1is the NOI of first year ownership for the next
investor.
●Assuming NOI is growing at a constant rate, g, and r >g.
●Term and Reversion Approach:(竖着切一刀,两块CF相
加,注意CF发生在哪一段,我就用哪一段的折现率)
●Layer method:(横着切一刀,两块CF相加,注意CF发生
在哪一段,我就用哪一段的折现率)
2)Cost approach:
Replacement cost
-curable cost
-incurable cost(depreciation)
-functional obsolescence
-locational obsolescence
-economic obsolescence=reproduction cost
+market value of the land
=value of real estate
3)Sales Comparison Approach:找到几个类似的房子和目标房
子,把所有的相同点和不同点全部拉出来,进行比较.然后把类似公司调成目标房子的情况,如果是调差了,那么把房价调减,如果调好了,把房价往上调,随后算出每个类似房子的单价求平均,最后乘以目标房子的面积即可).
2.Financial Ratios Used to Analyze debt:
3.REITS的定价:
➢NAVPS:
Estimated cash NOI (this year)
÷Assumed cap rate
= Estimated value of operating real estate
+ Cash and accounts receivable
- Debt and other liabilities
= Net asset value
÷Shares outstanding
DSCR
LTV
= NAV / share
FFO:
Accounting net earnings
+ Depreciation expense
+ Deferred tax expenses (i.e., deferred tax liabilities)
- Gains from sales of property and debt restructuring
+ Losses from sales of property and debt restructuring
= Funds from operations
- Non-cash (straight-line) rent adjustment
- Recurring maintenance‐type capital expenditures and
leasing commissions
= AFFO (adjusted funds from operations)
4)PE估值
➢VC法:两阶段
Step 1: Calculating the compound discount rate
Step 2: Post Money Valuation (round 2) POST2 = FV/ (1+ r2)n2 Step 3: Pre Money Valuation (round 2) PRE2 = POST2–
INV2
Step 4: Post Money Valuation (round 1) POST1 = PRE2 / (1+ r1)n1
Step 5: Pre Money Valuation (round 1) PRE1 = POST1–
INV1
Step 6: Ownership Fraction (round 2) f2 = INV2 / POST2
Step 7: Ownership Fraction (round 1)
f1 = INV1 / POST1
Step 8: No. of the shares to be held by the PE firm
S pe1 = S e1 [f1 /(1‐f1)]
Step 9: Price per share after financing (round 1)
P1 = INV1 / S pe1
Step 10&11: Price per share after financing (round 2)
S pe2 = (S founder + S pe1) [f2 /(1‐f2)]
P2 = INV2 / S pe2
➢Buyout法:画饼图,具体请参照讲义上的例题
5)大宗商品:
➢Backwardation means that the term structure will have a negative trend.
Futures prices will be lower than the current spot price.
Basis=S-FP>0
Calendar spread=FPnear- FPdistant>0
➢Contango means that the term structure will have a positive trend.
Futures prices will be higher than the current spot price.
Basis=S-FP<0
Calendar spread=FPnear- FPdistant<0
➢Total Return=spot return + roll return + collateral return For contango, roll return<0
For backwardation, roll return>0。